smoother
Evaluate a smoother with a TSmodel
Description
Evaluate a state space model.
Usage
smoother(model, data, fortran=T))
Required Arguments
- model
-
An object of class `TSestModel' or 'TSmodel' with a model of
class `non.innov' 'SS' 'TSmodel'. If filter informatin is not provided
(i.e. in a TSestModel)
then smoother runs the filter (KF) first.
- data
-
A list containing input and output data. See TSdata.
- fortran
-
If T the fortran version of the code is used. Otherwise the S version is used.
Value
An object of class TSestModel with an additional element $smooth. $smooth
is a list of $state, the smoothed state, and $track, the smoothed tracking
error. The result will also contain the element $filter with $state and
$track (which may or may not have been in the original arguement).
Details
Smoother takes the filtered state $estimates$state and produces a smoothed
estimate of the state (sometimes called a two sided filter).
See Also
Examples
smoothed.model <- smoother(model, data)
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